Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

1985 ◽  
Vol 20 (2) ◽  
pp. 261 ◽  
Author(s):  
Jeffrey Jaffe ◽  
Randolph Westerfield
Keyword(s):  
Stock Returns ◽  
Common Stock ◽  
Day Of The Week

A Fundamental Preferences Model of Common Stock Returns

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 30-31
Author(s):  
Laurie Effron
Keyword(s):  
Stock Returns ◽  
Common Stock

Intraday Stock Returns Patterns Revisited. A Day of the Week and Market Trend Approach

2020 ◽  
Author(s):  
Constantina Kottaridi ◽  
Emmanouil Skarmeas ◽  
Vasileios Pappas
Keyword(s):  
Stock Returns ◽  
Day Of The Week

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?

2016 ◽  
Vol 11 (02) ◽  
pp. 1650008
Author(s):  
SWARN CHATTERJEE ◽  
AMY HUBBLE
Keyword(s):  
Stock Returns ◽  
Small Firm ◽  
Economic Cycles ◽  
Trading Decisions ◽  
Portfolio Managers ◽  
Small Investors ◽  
Garch Processes ◽  
Day Of The Week ◽  
Firm Effect ◽  
Daily Returns

This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.

Are There Long Cycles in Common Stock Returns?

1988 ◽  
Vol 55 (1) ◽  
pp. 141 ◽  
Author(s):  
Kursat Aydogan ◽  
G. Geoffrey Booth
Keyword(s):  
Stock Returns ◽  
Common Stock ◽  
Long Cycles

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

2021 ◽  
pp. 031289622110102
Author(s):  
Mousumi Bhattacharya ◽  
Sharad Nath Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Frequency ◽  
Jel Classification ◽  
Exogenous Shock ◽  
Intraday Data ◽  
Day Of The Week ◽  
Holiday Effects ◽  
Indian Stock Market ◽  
The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

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